Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities. More...

#include <qle/termstructures/spreadedsurvivalprobabilitytermstructure.hpp>

Inheritance diagram for SpreadedSurvivalProbabilityTermStructure:

Public Types
enum class	Extrapolation { flatFwd , flatZero }

Public Member Functions
	SpreadedSurvivalProbabilityTermStructure (const Handle< DefaultProbabilityTermStructure > &referenceCurve, const std::vector< Time > &times, const std::vector< Handle< Quote > > &spreads, const Extrapolation extrapolation=Extrapolation::flatFwd)
	times should be consistent with reference ts day counter

TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
std::vector< Time >	times ()
Handle< DefaultProbabilityTermStructure >	referenceCurve () const

Detailed Description

Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities.

Public Types